You Are Given the Following Data Concerning a 6×12 FRA

Multiple Choice

You are given the following data concerning a 6×12 FRA. The first six-month period is 182 days and the second is 183 days. The Libor rate for six months is 5% and for one year is 6%. The arbitrage-free price of the 6×12 FRA, assuming the Actual/360 day-count convention, is

A) 5.50%
B) 6.22%
C) 6.55%
D) 6.82%